Title of article :
An introduction to volatility models with indices
Original Research Article
Author/Authors :
A.E. Tikhomirova، نويسنده , , V.A. Volpert، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Abstract :
This paper considers a class of volatility models generated by autoregressive (AR) type models with indices. Some results associated with the autocorrelation function (acf) of this class are given and the spectral density is obtained in terms of the kurtosis of the error distribution and model parameters.
Keywords :
Index , Moving average , Kurtosis , Moments , ARCH , GARCH , Time series , Frequency , correlation , Autoregression , Spectrum
Journal title :
Applied Mathematics Letters
Journal title :
Applied Mathematics Letters